Are you referring to downloading HD movies from iTunes or from another source?

From iTunes, when you purchase an HD movie you'll actually get both the HD and standard-definition versions. iTunes should simply play the HD one by default, as well as syncing that to any HD-capable iOS devices (iPhone 4, iPod touch 4G, iPad) and streaming/syncing it to the Apple TV.

Note that on some computers -- mostly Macs with external monitors -- you won't be able to play HD videos since they require HDCP copy protection which most analog-type external monitors don't support. HDMI-connected displays should be fine, however, and it seems that iTunes on Windows doesn't enforce this restriction as tightly as the Mac version does. For the same reason you also can't output protected HD video from an iPad, iPhone or iPod touch, even if you're using the Dock Connector to VGA cable.

You can force iTunes to play the SD version if your computer can't handle HD for some reason -- simply right-click on the movie and choose the "Version" option from the context menu. There's also a setting in your iTunes Preferences on the "Playback" tab that can be used to play ALL HD movies in SD. The iOS devices also have a "Prefer standard-definition videos" option on the "Summary" tab if you prefer to sync the SD versions instead of the HD versions (ie, to save space).

Note that HD movie rentals include only the HD version of the movie, so if you want to watch a rental in SD you'll have to rent the SD version instead (and you'll save a buck by doing so anyway).

If you're downloading HD movies from other sources it should work the same although they may not specifically be tagged as "HD" in iTunes and you'll need to make sure they're in an iTunes-compatible format, which means you may need to convert them with something like Handbrake in the same way as you would for standard-definiton video.